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A semi-parametric estimator of a risk distribution

✍ Scribed by Jacques Carriere


Book ID
103586850
Publisher
Elsevier Science
Year
1993
Tongue
English
Weight
535 KB
Volume
13
Category
Article
ISSN
0167-6687

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Hedging and value at risk: A semi-parame
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## Abstract The non‐normality of financial asset returns has important implications for hedging. In particular, in contrast with the unambiguous effect that minimum‐variance hedging has on the standard deviation, it can actually increase the negative skewness and kurtosis of hedge portfolio returns